Description: This course explores the role that money, financial markets and institutions, and monetary policy play in shaping the economic environment. We investigate why these markets and institutions arise and may lubricate the resource allocation analytically (rather than descriptively), using tools of economic theory.
Description: Introduction to asset pricing covering theory in both continuous and discrete time to study dynamic portfolio choice; derivative pricing; the term structure of interest rates; and intertemporal asset-pricing and consumption-based models.
Description: The course offers an introduction to financial derivatives and the models used to price them. Pricing techniques include the Black-Scholes formula, as well as extensions to accommodate time-varying volatility. We also consider counterparty credit risk in derivatives trading and the market mechanisms that have arisen to mitigate this risk. This course is technical by nature, and requires extensive use of calculus, statistics, and spreadsheet programming.